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Backtest - WO Classic 2.5Δ Calls

End Balance
$707,989 3.8% CAGR
Drawdown
-$38,728 -5.9%
Sortino
0.27 0.42 Sharpe
MAR 0.65
Profit Factor 1.97
Trades 2063
Win Rate 98.3%
Best Mo 2.6%
Worst Mo -3.6%
Positive Mos 79%
Benchmark Comparison
Total Return CAGR Drawdown MAR Sharpe Sortino Profit Factor Annualized Vol. Correlation Beta
Backtest 41.6% 3.8% -5.9% 0.65 0.42 0.27 1.97 4% -0.36 -0.08
SPX 216.5% 13.2% -33.9% 0.39 0.65 0.79 18%
Return %
Drawdown
Backtest Positions
Position Entry Exit
2.5D call 80% PT
SPXW Short Call
80.0% portfolio
20.0% notional withheld
$1.00 fee per contract
$0.05 free to close
1 minute between trades
65% slippage at entry
65% slippage at exit
Sequential
Before 3:00 PM EDT
1 DTE (1 min - 4 max)
0.025 CALL Δ
80% profit target
Detailed Stats
Start Date
September 1, 2016
End Date
December 5, 2025
Start Balance
$500,000
End Balance
$707,989
Total Fees
$18,112
Return %
41.6%
Return $
$207,989
CAGR
3.8%
Drawdown %
-5.9%
Drawdown $
-$38,728
Drawdown Days
499 days
Sortino
0.27
Sharpe
0.42
MAR
0.65
Annual Vol.
4.1%
Correlation
-0.36
Beta
-0.08
Trades
2063
Winners
2028 (98.3%)
Losers
35
Avg Gain
$101
Avg Winner
$208
Avg Loser
-$6,103
Premium Collected $
$540,758
Premium Retained $
$226,101
Premium Retained %
41.8%
Regime Attribution
The information provided on Whispertrades is for general information purposes only. No information, materials, services and other content provided on this website constitute solicitation, recommendation, endorsement or any financial, investment, or other advice. Seek independent professional consultation in the form of legal, financial, and fiscal advice before making any investment decision. Past performance may not be indicative of future results.
Equity & Positions
Balance
Positions
Periodic Performance
Yearly Performance
Quarterly Performance
Monthly Performance
Weekly Performance
Daily Performance
Day of Week Performance
Relative Performance
Annual Returns vs Underlying
Daily Returns vs Underlying
Consistency Over Time
Rolling Risk-Adjusted Returns
Win Rate Stability
Trade Distributions
Trade P/L Distribution
Periodic Return Distribution
Trade Duration
Win/Loss Streak Distribution
Trade P/L by Factor
Where the P/L Went
Entry Conditions
P/L by VIX at Entry
P/L by IV at Entry
P/L by Entry-Day Underlying Move
P/L by Time of Day (ET)
Outcome by Entry Delta
Volatility Regime Matrix
The matrix uses wider bands than the charts above, and needs both of its axes captured on a trade, so counts can differ.
P/L by Underlying Move During Trade
P/L by VIX Move During Trade
P/L by GEX Regime
P/L by Total GEX
Drawdown Anatomy
Drawdown Episodes
Top 5 Drawdowns
Yearly Results

  • Year

    Backtest

    SPX

  • 0.1%
    3.3%
    September
    0.3%
    0.0%
    October
    0.2%
    -1.9%
    November
    0.3%
    3.4%
    December
    -0.7%
    1.8%
  • 0.8%
    18.0%
    January
    -1.3%
    1.8%
    February
    0.2%
    3.7%
    March
    0.3%
    0.0%
    April
    0.2%
    0.9%
    May
    0.2%
    1.2%
    June
    0.2%
    0.5%
    July
    0.1%
    2.0%
    August
    0.1%
    0.1%
    September
    0.2%
    1.9%
    October
    0.2%
    2.2%
    November
    0.1%
    2.8%
    December
    0.3%
    1.0%
  • 4.9%
    -5.0%
    January
    -0.3%
    5.5%
    February
    0.0%
    -3.7%
    March
    0.4%
    -2.6%
    April
    0.8%
    0.4%
    May
    0.5%
    2.2%
    June
    0.3%
    0.5%
    July
    0.3%
    3.6%
    August
    0.3%
    3.0%
    September
    0.3%
    0.5%
    October
    0.7%
    -7.0%
    November
    0.6%
    1.9%
    December
    1.0%
    -9.3%
  • 5.4%
    26.2%
    January
    0.7%
    7.7%
    February
    0.4%
    3.0%
    March
    0.5%
    1.8%
    April
    0.2%
    3.9%
    May
    0.6%
    -6.7%
    June
    0.4%
    6.7%
    July
    0.3%
    1.3%
    August
    0.8%
    -1.6%
    September
    0.4%
    1.7%
    October
    0.4%
    2.1%
    November
    0.3%
    3.4%
    December
    0.3%
    2.8%
  • 9.5%
    21.1%
    January
    0.4%
    -0.1%
    February
    0.0%
    -8.5%
    March
    2.6%
    -9.7%
    April
    1.5%
    12.7%
    May
    -0.3%
    4.6%
    June
    1.0%
    2.2%
    July
    0.9%
    5.4%
    August
    0.5%
    6.8%
    September
    0.4%
    -3.8%
    October
    1.0%
    -2.6%
    November
    0.9%
    10.3%
    December
    0.4%
    3.7%
  • 5.0%
    24.7%
    January
    0.6%
    -1.0%
    February
    0.5%
    2.7%
    March
    0.7%
    4.3%
    April
    0.4%
    5.2%
    May
    0.5%
    0.6%
    June
    0.4%
    2.2%
    July
    0.4%
    2.3%
    August
    0.3%
    2.9%
    September
    0.5%
    -4.8%
    October
    -0.2%
    6.8%
    November
    0.4%
    -0.8%
    December
    0.4%
    4.4%
  • 3.8%
    -18.7%
    January
    0.8%
    -5.3%
    February
    -3.6%
    -3.0%
    March
    1.4%
    3.8%
    April
    1.1%
    -9.0%
    May
    1.7%
    0.4%
    June
    -2.3%
    -8.4%
    July
    1.0%
    8.9%
    August
    1.2%
    -4.2%
    September
    1.8%
    -9.6%
    October
    -1.7%
    8.0%
    November
    -0.1%
    5.5%
    December
    2.6%
    -5.9%
  • -0.1%
    22.6%
    January
    -0.2%
    6.1%
    February
    1.0%
    -2.6%
    March
    -0.2%
    3.6%
    April
    -0.6%
    1.5%
    May
    0.3%
    0.3%
    June
    -1.1%
    6.3%
    July
    0.4%
    3.1%
    August
    0.6%
    -1.7%
    September
    0.6%
    -4.9%
    October
    0.9%
    -2.1%
    November
    -2.1%
    8.6%
    December
    0.3%
    4.4%
  • 0.1%
    21.8%
    January
    -1.9%
    1.6%
    February
    -0.6%
    5.1%
    March
    0.4%
    3.1%
    April
    0.7%
    -4.2%
    May
    0.0%
    4.7%
    June
    0.8%
    3.4%
    July
    -0.3%
    1.2%
    August
    0.6%
    2.4%
    September
    0.2%
    2.1%
    October
    0.8%
    -0.9%
    November
    -0.3%
    5.6%
    December
    -0.4%
    -2.5%
  • 6.2%
    17.2%
    January
    0.6%
    2.7%
    February
    0.4%
    -1.4%
    March
    1.1%
    -5.8%
    April
    1.6%
    0.2%
    May
    0.8%
    6.1%
    June
    -0.7%
    4.9%
    July
    0.4%
    2.2%
    August
    0.4%
    2.0%
    September
    0.3%
    3.5%
    October
    0.5%
    2.3%
    November
    0.6%
    0.2%
    December
    0.1%
    0.3%
Monthly Returns
December 2025
S
M
T
W
T
F
Total

  1. $142.00

  1. $150.00

  1. $70.00

  1. $208.00

  1. $122.00

  1. $692.00

Performance by Position
Performance Per Contract Trades Wins Losses Win % Premium Collected Premium Retained
Avg Entry
Avg Exit
Avg Profit
 Profit Factor
Total Profit
2.5D call 80% PT 2063 2028 35 98.3% $540,758 $226,101 (42%) $0.43 $0.25 $0.18 1.97 $378.15
Backtest Total 2063 2028 35 98.3% $540,758 $226,101 (42%) $0.43 $0.25 $0.18 1.97 $378.15
Trade Log
Position Timing Result
2.5D call 80% PT
-9 Fri Sep 2nd 2200c
Thu Sep 1st 2016
9:31:10 AM EDT | $0.19 credit
Fri Sep 2nd 2016
11:14:00 AM EDT | $0.04 debit
Profit Target
$126 | 73.68%
$500,126 balance
2.5D call 80% PT
-9 Tue Sep 6th 2205c
Fri Sep 2nd 2016
11:15:10 AM EDT | $0.14 credit
Tue Sep 6th 2016
4:00:00 PM EDT |
Expired
$117 | 92.86%
$500,243 balance
2.5D call 80% PT
-9 Fri Sep 9th 2215c
Wed Sep 7th 2016
9:31:10 AM EDT | $0.14 credit
Fri Sep 9th 2016
4:00:00 PM EDT |
Expired
$117 | 92.86%
$500,360 balance
2.5D call 80% PT
-9 Wed Sep 14th 2185c
Mon Sep 12th 2016
9:31:10 AM EDT | $0.22 credit
Tue Sep 13th 2016
12:31:10 PM EDT | $0.04 debit
Profit Target
$153 | 77.27%
$500,513 balance
2.5D call 80% PT
-9 Wed Sep 14th 2170c
Tue Sep 13th 2016
12:32:20 PM EDT | $0.19 credit
Wed Sep 14th 2016
9:31:50 AM EDT | $0.04 debit
Profit Target
$126 | 73.68%
$500,639 balance
2.5D call 80% PT
-9 Mon Sep 19th 2180c
Thu Sep 15th 2016
9:31:10 AM EDT | $0.20 credit
Fri Sep 16th 2016
11:03:50 AM EDT | $0.04 debit
Profit Target
$135 | 75.00%
$500,774 balance
2.5D call 80% PT
-9 Mon Sep 19th 2170c
Fri Sep 16th 2016
11:05:00 AM EDT | $0.15 credit
Mon Sep 19th 2016
9:31:50 AM EDT | $0.03 debit
Profit Target
$99 | 73.33%
$500,873 balance
2.5D call 80% PT
-9 Wed Sep 21st 2190c
Mon Sep 19th 2016
9:33:00 AM EDT | $0.20 credit
Wed Sep 21st 2016
2:01:40 PM EDT | $0.04 debit
Profit Target
$135 | 75.00%
$501,008 balance
2.5D call 80% PT
-9 Fri Sep 23rd 2200c
Wed Sep 21st 2016
2:02:50 PM EDT | $0.22 credit
Fri Sep 23rd 2016
9:31:50 AM EDT | $0.04 debit
Profit Target
$153 | 77.27%
$501,161 balance
2.5D call 80% PT
-9 Mon Sep 26th 2200c
Fri Sep 23rd 2016
9:33:00 AM EDT | $0.10 credit
Mon Sep 26th 2016
4:00:00 PM EDT |
Expired
$81 | 90.00%
$501,242 balance
2.5D call 80% PT
-9 Wed Sep 28th 2180c
Tue Sep 27th 2016
9:31:10 AM EDT | $0.19 credit
Wed Sep 28th 2016
9:41:10 AM EDT | $0.04 debit
Profit Target
$126 | 73.68%
$501,368 balance
2.5D call 80% PT
-9 Fri Sep 30th 2195c
Wed Sep 28th 2016
9:42:20 AM EDT | $0.19 credit
Thu Sep 29th 2016
1:49:20 PM EDT | $0.04 debit
Profit Target
$126 | 73.68%
$501,494 balance
2.5D call 80% PT
-9 Fri Sep 30th 2185c
Thu Sep 29th 2016
1:50:30 PM EDT | $0.13 credit
Fri Sep 30th 2016
4:00:00 PM EDT |
Expired
$108 | 92.31%
$501,602 balance
2.5D call 80% PT
-9 Wed Oct 5th 2200c
Mon Oct 3rd 2016
9:31:10 AM EDT | $0.15 credit
Tue Oct 4th 2016
9:34:40 AM EDT | $0.03 debit
Profit Target
$99 | 73.33%
$501,701 balance
2.5D call 80% PT
-9 Wed Oct 5th 2190c
Tue Oct 4th 2016
9:35:50 AM EDT | $0.08 credit
Wed Oct 5th 2016
4:00:00 PM EDT |
Expired
$63 | 87.50%
$501,764 balance
2.5D call 80% PT
-9 Fri Oct 7th 2190c
Thu Oct 6th 2016
9:31:10 AM EDT | $0.14 credit
Fri Oct 7th 2016
4:00:00 PM EDT |
Expired
$117 | 92.86%
$501,881 balance
2.5D call 80% PT
-9 Wed Oct 12th 2195c
Mon Oct 10th 2016
9:31:10 AM EDT | $0.12 credit
Wed Oct 12th 2016
4:00:00 PM EDT |
Expired
$99 | 91.67%
$501,980 balance
2.5D call 80% PT
-9 Fri Oct 14th 2165c
Thu Oct 13th 2016
9:31:10 AM EDT | $0.19 credit
Fri Oct 14th 2016
11:07:30 AM EDT | $0.04 debit
Profit Target
$126 | 73.68%
$502,106 balance
2.5D call 80% PT
-9 Mon Oct 17th 2170c
Fri Oct 14th 2016
11:08:40 AM EDT | $0.10 credit
Mon Oct 17th 2016
4:00:00 PM EDT |
Expired
$81 | 90.00%
$502,187 balance
2.5D call 80% PT
-9 Wed Oct 19th 2170c
Tue Oct 18th 2016
9:31:10 AM EDT | $0.19 credit
Wed Oct 19th 2016
9:31:50 AM EDT | $0.04 debit
Profit Target
$126 | 73.68%
$502,313 balance